Co-movement of Banking Stress Across Emerging and Developed Economies: A Dynamic Factor Model and Wavelet Coherence Approach
Published online on November 03, 2021
Abstract
Global Business Review, Ahead of Print.
This study develops a robust banking stability indicator for emerging and advanced economies and examines the linkage of banking stress across economies. We contribute by including interbank borrowings and banking sector volatility to measure contagious ...
This study develops a robust banking stability indicator for emerging and advanced economies and examines the linkage of banking stress across economies. We contribute by including interbank borrowings and banking sector volatility to measure contagious ...